THE EMPIRICAL IMPLICATIONS OF THE COX, INGERSOLL, ROSS THEORY OF THE TERM STRUCTURE OF INTEREST-RATES

被引:118
作者
BROWN, SJ
DYBVIG, PH
机构
关键词
D O I
10.2307/2328491
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:617 / 630
页数:14
相关论文
共 14 条
[1]   PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].
BLACK, F ;
SCHOLES, M .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654
[2]  
Brennan M.J., 1979, J BANKING FINANCE, V3, P133, DOI [DOI 10.1016/0378-4266(79)90011-6, 10.1016/0378-4266(79)90011-6]
[3]  
CONSTANTINIDES GM, 1984, J FINANC ECON, V13, P229
[4]  
COX J, 1977, UNPUB FORWARD RATES
[5]   A THEORY OF THE TERM STRUCTURE OF INTEREST-RATES [J].
COX, JC ;
INGERSOLL, JE ;
ROSS, SA .
ECONOMETRICA, 1985, 53 (02) :385-407
[6]   THE TERM STRUCTURE OF INTEREST-RATES [J].
CULBERTSON, JM .
QUARTERLY JOURNAL OF ECONOMICS, 1957, 71 (04) :485-517
[7]  
DYBVIG P, 1985, UNPUB DO INTEREST RA
[8]   TERM PREMIUMS IN BOND RETURNS [J].
FAMA, EF .
JOURNAL OF FINANCIAL ECONOMICS, 1984, 13 (04) :529-546
[9]   RISK, RETURN, AND EQUILIBRIUM - EMPIRICAL TESTS [J].
FAMA, EF ;
MACBETH, JD .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :607-636
[10]  
Hicks J. R., 1946, VALUE CAPITAL